THE IMPACT OF FINANCIAL PERFORMANCE ON STOCK RETURNS OF COMPANIES ISSUING SUKUK IN INDONESIA

The goal of this study is to analyze the impact of financial performance with indicators namely Sukuk to Equity Ratio (SER), Debt to Equity Ratio (DER), Size, Return on Equity (ROE), and Earning Per Share (EPS) toward stock return on companies who issue sukuk and listed on the Indonesia Stock Exchange. Annual data for the period of observations from 2016 to 2020 was used. The population in this study is 21 companies. Purposive Sampling technique is used and found companies with certain criteria within 5 years of observations which made the total number of observations as much as 20. Data is gathered from Indonesia Stock Exchange. It is analyzed by using Regression Analysis of Panel Data. The model study chosen is Fixed Effect Model. The results of the analysis indicate that SER has positive impact on stock return as mentioned in Signalling Theory. Size and EPS also have positive impact on return while DER and EPS have negative impact on it.本研究旨在分析以伊斯兰债券权益比（Sukuk to Equity Ratio, SER）、债务权益比（Debt to Equity Ratio, DER）、公司规模、净资产收益率（Return on Equity, ROE）及每股收益（Earning Per Share, EPS）为表征指标的财务绩效，对在印度尼西亚证券交易所（Indonesia Stock Exchange）上市且发行伊斯兰债券（Sukuk）的公司股票收益率的影响。本研究采用2016年至2020年的年度观测数据，研究总体涵盖21家公司，通过目的抽样法（Purposive Sampling）筛选出观测期5年内符合特定标准的样本，最终有效观测样本总量为20。数据来源于印度尼西亚证券交易所，采用面板数据回归分析（Regression Analysis of Panel Data）进行实证检验，最终选定固定效应模型（Fixed Effect Model）作为研究模型。分析结果显示，依据信号理论（Signalling Theory），SER对股票收益率具有正向影响；公司规模与EPS同样对收益率存在正向作用，而DER与EPS则对收益率产生负向影响。